A Unified Test for the AR Error Structure of an Autoregressive Model [PDF]
Axioms, 2022 A direct application of autoregressive (AR) models with independent and identically distributed (iid) errors is sometimes inadequate to fit the time series data well.
Xinyi Wei +4 more
doaj +2 more sources
Multivariate contemporaneous threshold autoregressive models [PDF]
SSRN Electronic Journal, 2007 In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values.
Fabio Spagnolo +3 more
core +8 more sources
Autoregressive conditional root model [PDF]
, 2001 In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously ...
Anders Rahbek, Neil Shephard
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Order estimation for autoregressive models using criteria based on stochastic complexity
Kuwait Journal of ScienceIn this paper, we are interested in the order estimation of an autoregressive model using the information criterion developed by El Matouat and Hallin (1996), which is based on stochastic complexity.
Hamzaoui H., Moussa F.D., El Matouat A.
doaj +2 more sources
Corrigendum: Degenerate Beta autoregressive model for proportion time-series with zeros or ones: an application to antimicrobial resistance rate using R shiny app. [PDF]
Front Public HealthLobo J, Kamath A, Kalwaje Eshwara V.
europepmc +3 more sources
Vector auto-regressive model (VAR) results’ versus auto-regressive distributive lags model (ARDL) results’ [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ, 2021 The paper aims to test the possibility of getting the same results when applying two different econometric models in testing the relation between the development of financial sector and the economic growth in Egypt.
rania moawad
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Seasonal functional autoregressive models [PDF]
Journal of Time Series Analysis, 2021 Functional autoregressive models are popular for functional time series analysis, but the standard formulation fails to address seasonal behaviour in functional time series data. To overcome this shortcoming, we introduce seasonal functional autoregressive time series models.
Atefeh Zamani +3 more
openaire +1 more source
Two-Threshold-Variable Integer-Valued Autoregressive Model
Mathematics, 2023 In the past, most threshold models considered a single threshold variable. However, for some practical applications, models with two threshold variables may be needed. In this paper, we propose a two-threshold-variable integer-valued autoregressive model
Jiayue Zhang, Fukang Zhu, Huaping Chen
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Autoregressive optimal transport models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2023 Abstract Series of univariate distributions indexed by equally spaced time points are ubiquitous in applications and their analysis constitutes one of the challenges of the emerging field of distributional data analysis. To quantify such distributional time series, we propose a class of intrinsic autoregressive models that operate in the
Changbo Zhu, Hans-Georg Müller
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Variable Selection for the Spatial Autoregressive Model with Autoregressive Disturbances
Mathematics, 2021 Along with the rapid development of the geographic information system, high-dimensional spatial heterogeneous data has emerged bringing theoretical and computational challenges to statistical modeling and analysis.
Xuan Liu, Jianbao Chen
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